SMCF[Strategy] vs INav[Benchmark]

28 Feb, 2025 - 15 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	89.0%	100.0%
Cumulative Return	0.46%	1.0%
CAGR﹪	0.99%	2.18%
Sharpe	0.07	-0.39
Prob. Sharpe Ratio	28.42%	31.24%
Smart Sharpe	0.04	-0.23
Sortino	0.11	-0.4
Smart Sortino	0.06	-0.24
Sortino/√2	0.08	-0.28
Smart Sortino/√2	0.05	-0.17
Omega	1.03	1.03
Max Drawdown	-16.5%	-5.61%
Longest DD Days	141	102
Volatility (ann.)	42.04%	9.92%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.06	0.39
Skew	1.92	-7.46
Kurtosis	43.58	64.78
Expected Daily	0.0%	0.01%
Expected Monthly	0.06%	0.14%
Expected Yearly	0.46%	1.0%
Kelly Criterion	24.39%	-19.32%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.32%	-1.02%
Expected Shortfall (cVaR)	-4.32%	-1.02%
Max Consecutive Wins	7	15
Max Consecutive Losses	4	2
Gain/Pain Ratio	0.1	0.1
Gain/Pain (1M)	0.97	0.29
Payoff Ratio	1.28	0.17
Profit Factor	1.1	1.1
Common Sense Ratio	1.0	0.98
CPC Index	0.81	0.16
Tail Ratio	0.91	0.89
Outlier Win Ratio	2.99	13.53
Outlier Loss Ratio	2.65	4.19
MTD	-0.04%	-0.28%
3M	3.64%	4.16%
6M	0.46%	1.0%
YTD	0.46%	1.0%
1Y	0.46%	1.0%
3Y (ann.)	0.99%	2.18%
5Y (ann.)	0.99%	2.18%
10Y (ann.)	0.99%	2.18%
All-time (ann.)	0.99%	2.18%
Best Day	19.88%	0.43%
Worst Day	-16.07%	-5.61%
Best Month	1.73%	2.08%
Worst Month	-4.12%	-3.95%
Best Year	0.46%	1.0%
Worst Year	0.46%	1.0%
Avg. Drawdown	-5.49%	-1.5%
Avg. Drawdown Days	31	25
Recovery Factor	0.03	0.18
Ulcer Index	0.03	0.03
Serenity Index	-0.91	-0.29
Avg. Up Month	1.18%	1.34%
Avg. Down Month	-2.08%	-2.12%
Win Days	57.61%	82.52%
Win Month	66.67%	66.67%
Win Quarter	66.67%	66.67%
Win Year	100.0%	100.0%
Beta	0.1	-
Alpha	0.09	-
Correlation	2.4%	-
Treynor Ratio	-64.3%	-